Portfolio Pricing and Valuations Analyst

Portfolio Pricing and Valuations Analyst

The successful candidate will help maintain and enhance internal system infrastructure focusing on the pricing and valuation of equity derivative products (delta1 and volatility products). The candidate will also be involved in the setup of new products, verification of pricing models, as well as the observation and analysis of P&L. 

Principal Responsibilities

• Valuations – Configuring internal systems and calibration of theoretical models for the proper valuations of equity derivative products and sourcing/analysis of related market data.

• Pricing – Responsible for maintaining, monitoring and establishing new procedures and controls to support the intra-day and end of day pricing of these products within the firm. Responsible for publishing and signing off on the firm’s official end of day marks and curves.

• P&L – Monitor live and EOD pricing, PnL and risks with a focus on equity derivatives. Break down the performance of equity-linked positions into its various components, including market movements (Greeks-based PnL attribution), idiosyncratic events, trading activities and other factors to explain the drivers of performance, with a focus on equity derivatives portfolios. Prepare performance attribution reports for senior management, highlighting the primary PnL drivers and running ad-hoc detailed analysis when required

• Primary Interface – The Portfolio Pricing and Valuations team will be the primary interface for portfolio managers. As a single place that the portfolio managers can go to resolve pricing, position, technology, risk and security setup related issues. The Team will co-ordinate with the various departments to resolve all issues for the portfolio managers.

Qualifications/Skills

• 2-5 years of professional experience, experience from the following backgrounds preferred: Traders, Trade Support, Product Control/Valuation functions

• Strong communication skills; Quick learner

• Strong knowledge of Equity Derivative products (Options, Var/Vol Swaps, TRF/TRS, dividend swaps, equity exotics) will be a competitive advantage

• Strong programming experience (Python, VBA, etc) preferred.

• Knowledge of Bloomberg and Reuters (and other market data sources) will be an asset.

• Experience working with technology teams in resolving issues and driving enhancements

• Detail oriented; Demonstrates thoroughness and strong ownership of work

• Strong communication skills and the ability to interact with Traders or Portfolio Managers as well as other teams globally

• Strong sense of urgency with ability to prioritize in a fast moving, high pressure environment

Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. The estimated base salary range for this position is $100,000 to $200,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.